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visits member for 2 years, 10 months
seen Nov 25 at 19:14

Sep
16
accepted Does the correlation amongst stocks rise when stock values decline?
Jun
20
comment Is a linear combination of GARCH processes also a GARCH process?
good answer, but usually we work with logarithmic returns, if 'x1' and'x2' are returns and x3=a1*x1+a2*x2, and r1=ln(x1),r2=ln(x2), r3=ln(x3) then r3 isn't equal to r1+r2
Jun
20
awarded  Scholar
Jun
20
accepted Is a linear combination of GARCH processes also a GARCH process?
Jun
19
awarded  Peer Pressure
Jun
19
asked Is a linear combination of GARCH processes also a GARCH process?
Jun
16
answered What tools exist for order book analysis and visualization?
May
22
comment Has high frequency trading (HFT) been a net benefit or cost to society?
but the volume you can trade at bid and ask is lower than in pre-HFT times
May
22
awarded  Commentator
May
22
comment What is a commonly accepted econometric model for volume?
@Dirk Eddelbuettel but AR(1)-GARCH(1,1) does
May
22
revised What is a commonly accepted econometric model for volume?
added 6 characters in body
May
22
asked What is a commonly accepted econometric model for volume?
May
21
revised How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
added 1833 characters in body
May
21
revised How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
added 1833 characters in body
May
21
comment How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
Ok, I'm going to add more details in next two days (from the statistical and econometric side).
May
21
asked How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
Apr
26
awarded  Teacher
Apr
26
comment Does the correlation amongst stocks rise when stock values decline?
I believe I've read that unconditional correlation increases also.
Apr
26
revised How do I graphically represent the evolution of a covariance matrix over time?
added 55 characters in body
Apr
26
answered How do I graphically represent the evolution of a covariance matrix over time?